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Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures

Byström, Hans LU (2005) In Working Papers, Department of Economics, Lund University
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author
organization
publishing date
type
Working Paper
publication status
published
subject
keywords
iTraxx, credit default swap index, default probability, term structure
in
Working Papers, Department of Economics, Lund University
issue
44
publisher
Department of Economics, Lund Universtiy
language
English
LU publication?
yes
id
96eda23b-5e4e-4513-8536-2751c4f3e7c2 (old id 1387203)
alternative location
http://swopec.hhs.se/lunewp/abs/lunewp2005_044.htm
date added to LUP
2009-04-20 12:27:24
date last changed
2016-08-16 15:47:55
@misc{96eda23b-5e4e-4513-8536-2751c4f3e7c2,
  author       = {Byström, Hans},
  keyword      = {iTraxx,credit default swap index,default probability,term structure},
  language     = {eng},
  number       = {44},
  publisher    = {ARRAY(0xb0929b8)},
  series       = {Working Papers, Department of Economics, Lund University},
  title        = {Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures},
  year         = {2005},
}